Evaluating volatile stock markets using information theoretic measures

Luckshay Batra and H.C. Taneja

Physica A: Statistical Mechanics and its Applications, 2020, vol. 537, issue C

Abstract: In this paper, we broaden the entropy concept for Indian financial markets to make a collation between markets which are highly volatile. We have considered seven different estimators of Shannon entropy; Tsallis entropy and Renyi entropy for various values of their parameters; and also Approximate entropy and Sample entropy. For all these entropies, we provide computational results for minute-wise and day-wise data in terms of NIFTY stock and NIFTY sector indices. We conclude that in context of sector wise indices and stock wise indices, NIFTY Pharma and NIFTY50 are the most volatile among other indices respectively.

Keywords: Volatility; Financial markets; Shannon entropy; Shannon entropy estimators; Tsallis entropy; Renyi entropy; Approximate entropy; Sample entropy (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315444

DOI: 10.1016/j.physa.2019.122711

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